“Cash Flow Matching: A Risk Management Approach”, Garud Iyengar and Alfred Ka Chun Ma, July, 2009

DOI10.1080/10920277.2009.10597563zbMATH Open1483.91261OpenAlexW1995098287MaRDI QIDQ5029077FDOQ5029077

Authors: Ken O. Kortanek 

Publication date: 11 February 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2009.10597563

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Optimal stochastic control (93E20)

Cites Work

• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Title not available (Why is that?)
• Variance of the CTE Estimator
• Title not available (Why is that?)
• An optimization model for extracting forward interest rates from a dynamical systems under financial uncertainty

Uses Software

• LINDO
• LINGO

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